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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS
Pricing Table: Agency CMBS by Deal Vintage
METRIC AGENCY CMBS (P&I) AGENCY CMBS (IO/PO)
PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 93.8 88.5 96.7 - - -
Weighted Avg. Price 93.7 90.7 97.9 - - -
Avg. Price Bottom 5 Trades 83.3 86.1 80.5 - - -
2nd Quartile Price 92.8 88.3 100.1 - - -
3rd Quartile Price 95.3 90.2 101.1 - - -
4th Quartile Price 98.0 91.8 104.0 - - -
Avg. Price Top 5 Trades 98.5 92.2 104.3 - - -
Standard Deviation 5.4 6.7 10.9 - - -
VOLUME OF TRADES (000'S) 45,590.3 47,790.9 162,943.6 - - -
Customer Buy 22,832.9 - 90,228.4 - - -
Customer Sell 13,953.9 47,785.9 66,596.5 - - -
Dealer to Dealer 8,803.4 * * - - -
<= $1MM 4,337.3 19.2 3,000.9 - - -
<= $10MM 41,253.0 * 25,926.7 - - -
> $10MM - * * - - -
NUMBER OF TRADES 30 8 21 - - -
Customer Buy 8 - 9 - - -
Customer Sell 17 7 8 - - -
Dealer to Dealer 5 * * - - -
<= $1MM 18 6 7 - - -
<= $10MM 12 * 10 - - -
> $10MM - * * - - -

Pricing Table: CMBS Conduit by Deal Vintage
METRIC CONDUIT AAA LCF (P&I) CONDUIT AAA (P&I) CONDUIT AAA (IO/PO) CONDUIT IG (P&I) CONDUIT IG (IO/PO) CONDUIT HY (P&I) CONDUIT HY (IO/PO)
PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE 97.1 * 102.3 * 91.9 102.3 - - - * - - - - - 68.2 - - - - -
Weighted Avg. Price 97.1 * 98.8 * 90.4 103.5 - - - * - - - - - 69.9 - - - - -
Avg. Price Bottom 5 Trades 96.3 * 98.0 * 90.4 102.3 - - - * - - - - - 57.3 - - - - -
2nd Quartile Price 97.8 * 97.6 * 90.6 * - - - * - - - - - 66.9 - - - - -
3rd Quartile Price 98.2 * 105.3 * 95.4 * - - - * - - - - - 88.0 - - - - -
4th Quartile Price 98.3 * 107.9 * 96.0 * - - - * - - - - - 88.5 - - - - -
Avg. Price Top 5 Trades 98.2 * 107.5 * 93.7 102.3 - - - * - - - - - 82.1 - - - - -
Standard Deviation 1.9 * 8.5 * 4.0 3.2 - - - * - - - - - 22.8 - - - - -
VOLUME OF TRADES (000'S) 10,906.0 * 17,751.0 * 22,506.8 18,536.9 - - - * - - - - - 19,160.8 - - - - -
Customer Buy * * * * 22,506.8 * - - - * - - - - - 12,071.8 - - - - -
Customer Sell 9,631.0 * * * - * - - - * - - - - - * - - - - -
Dealer to Dealer - - - - - - - - - - - - - - - * - - - - -
<= $1MM 5,156.0 * 391.0 * * * - - - - - - - - - * - - - - -
<= $10MM * * * * * * - - - * - - - - - 16,758.3 - - - - -
> $10MM - - - - * - - - - - - - - - - - - - - - -
NUMBER OF TRADES 10 * 8 * 7 6 - - - * - - - - - 9 - - - - -
Customer Buy * * * * 7 * - - - * - - - - - 6 - - - - -
Customer Sell 8 * * * - * - - - * - - - - - * - - - - -
Dealer to Dealer - - - - - - - - - - - - - - - * - - - - -
<= $1MM 8 * 5 * * * - - - - - - - - - * - - - - -
<= $10MM * * * * * * - - - * - - - - - 6 - - - - -
> $10MM - - - - * - - - - - - - - - - - - - - - -

Pricing Table: CMBS Other by Deal Vintage
METRIC OTHER CMBS AAA LCF (P&I) OTHER CMBS AAA (P&I) OTHER CMBS AAA (IO/PO) OTHER CMBS IG (P&I) OTHER CMBS IG (IO/PO) OTHER CMBS HY (P&I) OTHER CMBS HY (IO/PO)
PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024 PRE-2019 2019-2021 2022-2024
AVERAGE PRICE - - - * * 99.2 - - - 84.1 91.4 99.8 - - - 73.6 * * - - -
Weighted Avg. Price - - - * * 99.5 - - - 79.8 87.2 100.0 - - - 83.5 * * - - -
Avg. Price Bottom 5 Trades - - - * * 99.2 - - - 84.1 89.4 99.0 - - - 58.5 * * - - -
2nd Quartile Price - - - * * * - - - * 88.8 99.2 - - - 59.0 * * - - -
3rd Quartile Price - - - * * * - - - * 93.2 100.3 - - - 79.5 * * - - -
4th Quartile Price - - - * * * - - - * 98.4 101.1 - - - 92.4 * * - - -
Avg. Price Top 5 Trades - - - * * 99.2 - - - 84.1 93.4 100.7 - - - 92.8 * * - - -
Standard Deviation - - - * * 1.8 - - - 3.5 4.6 1.1 - - - 19.4 * * - - -
VOLUME OF TRADES (000'S) - - - * * 11,993.5 - - - 18,550.0 1,989.3 44,889.6 - - - 18,946.5 * * - - -
Customer Buy - - - * * 11,993.5 - - - * 1,883.7 21,976.3 - - - 14,232.2 * - - - -
Customer Sell - - - - - - - - - * * * - - - * - - - - -
Dealer to Dealer - - - - * - - - - - - * - - - * - * - - -
<= $1MM - - - * * * - - - * 792.3 * - - - 1,301.5 - - - - -
<= $10MM - - - * - * - - - * * 43,859.6 - - - 17,645.0 * * - - -
> $10MM - - - - - - - - - * - - - - - - - - - - -
NUMBER OF TRADES - - - * * 6 - - - 6 7 10 - - - 14 * * - - -
Customer Buy - - - * * 6 - - - * 6 5 - - - 6 * - - - -
Customer Sell - - - - - - - - - * * * - - - * - - - - -
Dealer to Dealer - - - - * - - - - - - * - - - * - * - - -
<= $1MM - - - * * * - - - * 6 * - - - 9 - - - - -
<= $10MM - - - * - * - - - * * 8 - - - 5 * * - - -
> $10MM - - - - - - - - - * - - - - - - - - - - -

* Indicates trade count is less than 5
† Includes Unrated Securities
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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